Hahn, TeWhan; O'Neill, Michele; Reyes, Mario G. - In: Journal of Financial Research 27 (2004) 2, pp. 273-287
There is still no consensus on whether small firm or value stock anomalies exist. We examine the last half of the 20th century and apply a six-factor macroeconomic model to test for the presence of these abnormal returns. Using four proxies for value, we find that detecting this anomaly is...